There MAY be a feasible explanation of this. If you did the tix through an agency, the agency MAY have played around with your destination city in order to get a cheaper fare (assuming that you are not on cheapie).

Here is a hypothetical situation:

You are flying from ORD to LHR and then to Amsterdam, perhaps on short notice. Let's say the cheapest available fare on AA was $1400 RT ORD-LHR-AMS, and the RT LHR-AMS-LHR is another $300. Your agent may have played around with the MPM and gotten you a fare of lets say $1200 to combine both and do the LHR-AMS-LHR on KLM as part of your fare (within the MPM) on AA (making AMS the destination and hence getting you a cheaper all together fare, even with the stopover, and perhaps even avoiding some 7 day restrictions, etc).

While the ticket in your hand or agency confirmations may not necessarily seem to link the two tickets easily, they very well could be linked between the two airlines. I would tend to think this as to my knowledge KLM uses Worldspan which isn't on the Sabre "platform".